Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are 35 bps higher, spurred on by a Japan trade deal and push out of tariff talks to Aug 12.

There is a very large SPX gamma strike at 6,330, which is now the anchor for the SPX. Above there is relatively less positive gamma, with a clear upside target at 6,400. We believe bulls now hold the baton until/unless the SPX breaks <6,300.

Whats additionally interesting here is that it seems like post-August IVs are flat to lower, while this weeks IV’s have crept higher. We wonder if this is the 0DTE-1DTE crew lining up for a bit of an upside chase, given the trade advancements.

If you zoom out, we have to start thinking about a July ’24 scenario wherein correlation is smashed as single stock vols surge relative to index vols. Meme-mania is a more blatant example of this, as traders are so comfortable being long equities that they step out on the risk spectrum to chase excess returns. In July ’24 it was the AI chase that led to record low correlations that ultimately broke things and led to the August 5th VIX +50 spike. Today we don’t see those extremes, yet, but it feels like we are headed to that scenario if the rampant risk-on continues. The takeaway here, for now, is “ride the bull” as long as we remain above the key risk-

pivot

(currently 6,300), but be ready to flip when that risk level is breached.